Edit: added link to show that orders don't necessarily get filled according to time priority ("an order clearly arrived later than ours with the same limit pric

Edit: added link to show that orders don't necessarily get filled according to time priority ("an order clearly arrived later than ours with the same limit price, yet it was filled and we were not.") It's only hypothetical until it happens to you. Refer to the fleitz's comment about short squeeze. That's an example of orders that don't get filled. In theory the broker is supposed to borrow shares to allow the trader to sell them short. What happens if the broker flouts securities law and does not follow the rules? http://www.nytimes.com/2012/03/26/business/goldman-sachs-denies-claims-it-led-to-copper-rivers-demise.html?_r=1&hpw=&pagewanted=all http://www.nytimes.com/2012/03/26/business/goldman-sachs-den... BTW, non-HFT'ers get consolidated market feeds which have higher latency than raw feeds that HFT'ers use. That's what a major part of the HFT debate is about. http://www.hftreview.com/pg/blog/mike/read/5317/hft-and-latency-arbitrage http://www.hftreview.com/pg/blog/mike/read/5317/hft-and-late... http://www.tradeworx.com/TWX-SEC-2010.pdf http://www.tradeworx.com/TWX-SEC-2010.pdf [PDF] (refer to page 17, 18)